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Basic Probability

Basic Probability. Introduction. Probability is the study of randomness and uncertainty. In the early days, probability was associated with games of chance (gambling). Simple Games Involving Probability.

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Basic Probability

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  1. Basic Probability A RAJASEKHAR YADAV

  2. Introduction • Probability is the study of randomness and uncertainty. • In the early days, probability was associated with games of chance (gambling).

  3. Simple Games Involving Probability Game: A fair die is rolled. If the result is 2, 3, or 4, you win $1; if it is 5, you win $2; but if it is 1 or 6, you lose $3. Should you play this game?

  4. Random Experiment • a random experiment is a process whose outcome is uncertain. • Examples: • Tossing a coin once or several times • Picking a card or cards from a deck • Measuring temperature of patients • ...

  5. Events & Sample Spaces Sample Space The sample space is the set of all possible outcomes. Event An event is any collection of one or more simple events Simple Events The individual outcomes are called simple events.

  6. Example Experiment: Toss a coin 3 times. • Sample space  •  = {HHH, HHT, HTH, HTT, THH, THT, TTH, TTT}. • Examples of events include • A = {HHH, HHT,HTH, THH} = {at least two heads} • B = {HTT, THT,TTH} = {exactly two tails.}

  7. Basic Concepts (from Set Theory) • The union of two events A and B, AB, is the event consisting of all outcomes that are either in Aor in Bor in both events. • The complement of an event A, Ac, is the set of all outcomes in that are not in A. • The intersection of two events A and B, AB, is the event consisting of all outcomes that are in both events. • When two events A and B have no outcomes in common, they are said to be mutually exclusive, or disjoint, events.

  8. Example Experiment: toss a coin 10 times and the number of heads is observed. • Let A = { 0, 2, 4, 6, 8, 10}. • B = { 1, 3, 5, 7, 9}, C = {0, 1, 2, 3, 4, 5}. • AB= {0, 1, …, 10} = . • AB contains no outcomes. So A and B are mutually exclusive. • Cc = {6, 7, 8, 9, 10}, A  C = {0, 2, 4}.

  9. Rules • Commutative Laws: • AB = B A, AB = B A • Associative Laws: • (AB) C = A (B C ) • (AB)  C = A (B  C) . • Distributive Laws: • (AB)C = (A  C)  (B  C) • (AB)C = (A  C) (B  C)

  10. Venn Diagram  A B A∩B

  11. Probability • A Probability is a number assigned to each subset (events) of a sample space . • Probability distributions satisfy the followingrules:

  12. Axioms of Probability • For any event A, 0  P(A)  1. • P() =1. • If A1, A2, … An is a partition of A, then • P(A) = P(A1)+ P(A2)+...+ P(An) • (A1, A2, … An is called a partition of A if A1A2 …An = A and A1, A2, … An are mutually exclusive.)

  13. Properties of Probability • For any event A, P(Ac) = 1 - P(A). • If AB, then P(A)  P(B). • For any two events A and B, • P(AB) = P(A) + P(B) - P(AB). • For three events, A, B, and C, • P(ABC) = P(A) + P(B) + P(C) - • P(AB) - P(AC) - P(BC) + P(AB C).

  14. Example • In a certain population, 10% of the people are rich, 5% are famous, and 3% are both rich and famous. A person is randomly selected from this population. What is the chance that the person is • not rich? • rich but not famous? • either rich or famous?

  15. Intuitive Development (agrees with axioms) • Intuitively, the probability of an event a could be defined as: Where N(a) is the number that event a happens in n trials

  16. Here We Go Again: Not So Basic Probability

  17. More Formal: • W is the Sample Space: • Contains all possible outcomes of an experiment • w inW is a single outcome • A inW is a set of outcomes of interest

  18. Independence • The probability of independent events A, B and C is given by: P(A,B,C) = P(A)P(B)P(C) A and B are independent, if knowing that A has happened does not say anything about B happening

  19. Bayes Theorem • Provides a way to convert a-priori probabilities to a-posteriori probabilities:

  20. Conditional Probability • One of the most useful concepts! W A B

  21. Bayes Theorem • Provides a way to convert a-priori probabilities to a-posteriori probabilities:

  22. Using Partitions: • If events Ai are mutually exclusive and partition W

  23. Random Variables • A (scalar) random variable X is a function that maps the outcome of a random event into real scalar values W X(w) w

  24. Random Variables Distributions • Cumulative Probability Distribution (CDF): • Probability Density Function (PDF):

  25. Random Distributions: • From the two previous equations:

  26. Uniform Distribution • A R.V. X that is uniformly distributed between x1 and x2 has density function: X1 X2

  27. Gaussian (Normal) Distribution • A R.V. X that is normally distributed has density function: m

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